Hi Statalist,
I am working on a panel data analysis whereby I use a country and time fixed effect and cluster by firm (panel).
My question concerns the F-test result after clustering. The model I am using is of the form
xtset firm year
xi: regress y x1 x2 x3 x4 x5 i.country i.year, robust cluster(firm)
Without the cluster-command, I get an F-value and a Prob > F = 0.000. Once I add 'cluster(firm)' however, I do not get one, I get: 'F(number,number)= .' and 'Prob > F = .'
I am trying to understand the underlying cause and solve it. Does anyone have experience with this issue?
Many thanks,
Julia
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